Here's how it works...
Don't even worry about selecting anything. Type in the cheat in once and all units will be invincible (minus units spawned in a mission as allies/reinforcements, but don't worry about them :P ). Now, when your units level up, their health goes down yes...but ONLY because they've leveled up and can contain more units and have increased health. They are still invincible, so don't type in the cheat again. Otherwise, they will be vulnerable and die from your mistake.
You only have to enter the cheat once when you first start playing a campaign or after loading a saved campaign game. I know what the cheat websites say about this cheat and they are wrong. I like all of you was frustrated as well. This is how it works, trust me.
Thanks for the info...but do u know how to make your reinf in god mode too ?